X hits on this document

70 views

0 shares

0 downloads

0 comments

1 / 20

Index Page 301 Monday, May 14, 2007 4:05 PM

Index

COPYRIGHTED MATERIAL

e indicates entries in exhibits. n indicates entries in the footnotes.

Above-market coupon, 296 ABSs. See Asset-backed securities Accretion-directed cash flows, genera-

tion, 129e Accretion-directed tranches, 128–132 Accretion direction, 104 Accrued interest, addition, 216 Adjustable rate agency pooling, 27–28 Adjustable rate mortgage (ARM), 7–8

5/1 ARM, 9, 81 loans, amortizing, 14–15 market base servicing, 27 growth, 71 pools, coupon rate, 28 pricing, 17 resets, 9 Adjustable rate tail, 80–81 Adverse selection, 67, 170 Agency ARM pools, 29–30 Agency bonds, evaluation, 270 Agency CMOs

deal, 107 key rate duration, 269e structures, 270–271 structuring techniques, 166 total return, 265e difference, 266e Agency-guaranteed pools, 10–11 Agency inverse floater, yield-to-index table,

257e Agency MBS, creation, 24–28

Agency PAC

price-yield table, 249e structuring, 270–271 Agency PAC2 CMO

average lives, 253e modified duration, 253e price-yield table, 249e, 252e Agency pass-through pool, 213

cash flow allocation, 26e Agency pass-throughs, prices/spreads/

risk measures, 239e Agency pooling, private label deal exe-

cution (contrast), 171–174 Agency pools, 41–42

market, 11 Agency support CMO, price-yield table,

247e Agency tranches, analysis, 270–272 Aggregate monthly mortgage payments,

54, 56 Aggregate refinancing/prepayment behav-

ior, 85–88 Alternative-A (Alt-A) loans, 5, 104

execution, 172 Alty characteristics, 171 Amortization

schedules, 13 type, 8–9 Amortizing/IO 5/1 Hybrid ARMs, monthly

borrower payments, 94e Annualized total return, 221 Annual rate, 12

301

Document info
Document views70
Page views70
Page last viewedThu Jan 19 03:01:39 UTC 2017
Pages20
Paragraphs262
Words5300

Comments